Forecasting inflation from the term structure
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- Carstensen, Kai & Hawellek, J., 2003. "Forecasting Inflation from the Term Structure," Munich Reprints in Economics 19949, University of Munich, Department of Economics.
- Carstensen, Kai, 2003. "Forecasting Inflation from the Term Structure," Munich Reprints in Economics 19945, University of Munich, Department of Economics.
References listed on IDEAS
- MacKinnon, James G & Haug, Alfred A & Michelis, Leo, 1999.
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- Mackinnon, J.G. & Haug, A.A. & Michelis, L., 1996. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," G.R.E.Q.A.M. 96a09, Universite Aix-Marseille III.
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"What does the term structure tell us about future inflation?,"
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- Frederic S. Mishkin, 1988. "What Does the Term Structure Tell Us About Future Inflation?," NBER Working Papers 2626, National Bureau of Economic Research, Inc.
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- Lucas, André, 1995. "Unit Root Tests Based on M Estimators," Econometric Theory, Cambridge University Press, vol. 11(02), pages 331-346, February.
- Tzavalis, Elias & Wickens, M. R., 1996. "Forecasting inflation from the term structure," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 103-122, May.
- Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-126, February.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Hassan Shareef & Santhakumar Shijin, 2016. "Expectations Hypothesis and Term Structure of Interest Rates: An Evidence from Emerging Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(2), pages 137-152, June.
- Jesús Crespo Cuaresma & Ernest Gnan & Doris Ritzberger-Grünwald, 2005.
"The term structure as a predictor of real activity and inflation in the euro area: a reassessment,"
BIS Papers chapters,in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 177-92
Bank for International Settlements.
- Jesús Crespo Cuaresma & Ernest Gnan & Doris Ritzberger-Grünwald, 2005. "The Term Structure as a Predictor of Real Activity and Inflation in the Euro Area: A Reassessment," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 141(2), pages 318-342, July.
- Li, Matthew C., 2016. "US term structure and international stock market volatility: The role of the expectations factor and the maturity premium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 1-15.
More about this item
KeywordsInflation forecast; term premium; cointegration;
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